Bruce E. Hansen
"Sample splitting and threshold estimation"
Econometrica (2000)
Program and Data Files
This program replicates the empirical work reported in the above paper.
It contains a set of procedures for estimation and testing in threshold models. The procedures estimate a threshold regression by least squares, compute confidence intervals for the parameters, and provide asymptotic simulation tests of the null of linearity against the alternative of a threshold.
Gauss Programs and Data
Matlab Programs and Data
R Programs and Data
Stata Programs
Link to Abstract and PDF File of Paper
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.